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Latest revision as of 23:37, 3 July 2024

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A stochastic differential game for optimal investment of an insurer with regime switching
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    A stochastic differential game for optimal investment of an insurer with regime switching (English)
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    28 April 2011
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    optimal investment
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    insurance company
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    Markov regime-switching models
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    model uncertainty
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    insurance claim process
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    stochastic differential games
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    exponential utility
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    survival probability
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    dynamic programming
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    HJB equations
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